RiskTech Forum

Prometeia delivers IFRS 13 compliant Fair Value Module

Posted: 11 January 2018  |  Source: Prometeia


Prometeia, the global leader in Risk Management consulting and software solutions, announced that its ERMAS 5 Suite is now enriched with the IFRS 13 compliant Fair Value Module, a tool designed to calculate fair values in line with the latest requirements set by the IFRS framework.

IFRS 13 Fair Value Measurement applies when IFRS principles require or permit fair value accounting and disclosure. The Standard lays the assumption that fair value is the price that would be settled in a free transaction between market participants. Thus, the Standard defines fair value on the basis of an 'exit price' notion which results in a market-based, rather than entity-specific, measurement.


“IFRS 13 Fair Value Module is another step made by the accounting regulator towards the integration of Credit, Market and Liquidity Risk into a holistic risk management framework,” comments Massimo Pedroni, Head of International Business at Prometeia. “With our new IFRS 13 Module, we are paving the way to the realization of full integration among financial risks.”

To reflect the new IFRS 13 pricing approach, ERMAS ALM analysis has been enhanced with a new functionality, the Credit Risk Adjusted Sensitivity Analysis, designed to integrate credit and interest rate risk within the typical Market Value framework.

Building up a consistent methodology which takes into account the expected credit losses allows to improve the Treasury hedging strategies, tackling the problem of over-hedging fixed rate positions exposed to high risk of default.

Modelling the credit behaviour in financial pricing has two fundamental pre-requisites:


With these latest developments, Prometeia provides an effective answer to these key modelling issues, giving the user the choice of the credit risk parameters to be included in the analysis.

Clients attain the following benefits:

 


Users of the ERMAS platform will benefit greatly from this new analysis module, intended to maximize flexibility and ensure a comprehensive parametrization of credit risk drivers, integrated with the IFRS framework.

ERMAS, the new generation of value-centric risk solutions, is used by over 200 clients in more than 20 countries to support their critical decisions and to comply with local and international regulatory requirements.